| Publication | Date of Publication | Type |
|---|
Penalized enhanced portfolio replication with asymmetric deviation measures
Annals of Operations Research | 2024-09-03 | Paper |
Financial contagion in banking networks with community structure
Communications in Nonlinear Science and Numerical Simulation | 2022-12-20 | Paper |
Network tail risk estimation in the European banking system
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
Quantitative Finance | 2021-06-02 | Paper |
Joint tails impact in stochastic volatility portfolio selection models
Annals of Operations Research | 2021-01-06 | Paper |
Market implied volatilities for defaultable bonds
Annals of Operations Research | 2019-10-15 | Paper |
Sparse precision matrices for minimum variance portfolios
Computational Management Science | 2019-08-23 | Paper |
A three-factor model for mortality modeling
North American Actuarial Journal | 2019-05-28 | Paper |
Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming
International Series in Operations Research & Management Science | 2019-01-25 | Paper |
Structural credit risk models with subordinated processes
Journal of Applied Mathematics | 2018-10-10 | Paper |
Estimating the probability of multiple EU sovereign defaults using CDS and bond data
Quantitative Finance | 2018-09-19 | Paper |
Robust and sparse banking network estimation
European Journal of Operational Research | 2018-05-31 | Paper |
Intensity-based framework for surrender modeling in life insurance
Insurance Mathematics & Economics | 2017-01-31 | Paper |
Bayesian estimation of truncated data with applications to operational risk measurement
Quantitative Finance | 2015-04-08 | Paper |
Credit default swaps: implied ratings versus official ones
4OR | 2013-02-06 | Paper |
A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates
Insurance Mathematics & Economics | 2012-04-18 | Paper |
A stochastic model for mortality rate on italian data
Journal of Optimization Theory and Applications | 2011-09-18 | Paper |
Calibrating affine stochastic mortality models using term assurance premiums
Insurance Mathematics & Economics | 2011-08-01 | Paper |
A stochastic optimization model for gas retail with temperature scenarios and oil price parameters
IMA Journal of Management Mathematics | 2010-04-23 | Paper |
| scientific article; zbMATH DE number 5589692 (Why is no real title available?) | 2009-08-03 | Paper |
A nonparametric model for analysis of the EURO bond market
Journal of Economic Dynamics and Control | 2008-10-24 | Paper |
Stable distributions in the Black–Litterman approach to asset allocation
Quantitative Finance | 2007-10-22 | Paper |
On pricing of credit spread options
European Journal of Operational Research | 2005-01-12 | Paper |
Risk factor analysis and portfolio immunization in the corporate bond market
European Journal of Operational Research | 2004-11-22 | Paper |
Performance of a hedged stochastic portfolio model in the presence of extreme events
Computational Economics | 2002-01-14 | Paper |
Bond portfolio management with repo contracts: the Italian case
Annals of Operations Research | 2001-01-17 | Paper |
On optimal design of treasury bonds
Computational Economics | 1999-07-20 | Paper |
